So what's so scary about the unconscious that we would need protection from it? It's necessary to understand Jung's notion of the Persona and the Shadow. The idea is, as a child, you learned to engage in moral behavior mainly by striving to be socially accepted. While you may have had some kind of formal moral instruction, your behavior was trained mainly by the reactions of other people, especially adults. That moral and social set of traits - that personality or personalities that you inhabit when you face the world - is referred to collectively as the Persona. The Shadow is all the impulses, thoughts, and other cognitive artifacts you either suppressed or did not develop in your pursuit to become a socially acceptable and moral being. We therefore perceive and even feel the Shadow as undesirable and dangerous. In fact, the impulse to reject the Shadow is the very thing we have to develop in order to create an acceptable Persona, and thus become decent people. But since we cannot reach a perfect state, adapted for all possible futures, the Persona is necessarily temporary. We have to change if we wish to continue improving our lives, or deal with new circumstances. And that inevitably means we will have to adopt behaviors currently located in our Shadow, and probably suppress some behaviors in our Persona. This is dangerous to us by definition.
Think of it another way. We have no fear of the unconscious when we encounter it solving crosswords because, although we don't know precisely what it is going to do, we know the kind of thing it will do. Using our verbal imaginations will produce unforeseen words, but it's very unlikely to provoke ecstasy, send us into a blind rage, or construct a convincing delusion about our identity. We could call the territory of the unconscious that contains the crossword-solving part of our minds the "known unknown." If it were a box, we wouldn't know exactly what we'd find in the box, but we'd know where the sides of the box were. Life in general, though, poses problems to us of every imaginable variety. The whole point of a mind is to be a general purpose problem-solver; as a result, we are forced to encounter the "unknown unknown." There is no box, and, in the general case, no limits. This is where we may find ecstasy, rage, and delusion. And what will we do when we encounter them? By definition, we don't know. As children, we learned to limit our behavior to what is physically safe and socially acceptable, partly by limiting our reactions to extreme emotions, but mostly by limiting the emotions themselves. No remotely healthy adult allows himself to get as angry as he did when he was three years old - not under any normal circumstance, at least. But, in the wilds of life, nothing is guaranteed. An explosion is possible, and it could ruin us.